Simultaneous variable selection and structural identification for time‐varying coefficient models

DOI10.1111/jtsa.12626OpenAlexW3197091386MaRDI QIDQ5095822

Ngai Hang Chan, Linhao Gao, Wilfredo Palma

Publication date: 11 August 2022

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12626

zbMATH Keywords

local linear estimatorlocally stationary processesvariable selectiongroup Lassoinformation criteriatime-varying coefficient models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62Mxx)

Related Items (1)

A Stratified Penalized Kernel Method for Semiparametric Variable Labeling and Estimation of Multi-Output Time-Varying Coefficient Models for Nonstationary Time Series

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